Conv

Description

This formula gives the difference between a synthetic underlying value and the most recent price of an option's underlying instrument.

Formula

Conv(instrument)=begin

  retval = Diff(SynUnder(instrument), instrument.u.recent)

end

Parameters

instrument

The instrument argument specifies which instrument to evaluate.

Return Value

A difference between a synthetic underlying and the underlying's last price.

Examples

Rvrs(instrument)=begin

  retval = -Conv(instrument)

end

Comments

This formula requires only one instrument as an argument, but internally it uses prices from two different instruments to define the arbitrage relationship between a call and a put at a particular strike and expiration. The conversion formula uses quote code extenders to reference the underlying instrument.